$TYPECHECK ON
$APPTYPE GUI
$INCLUDE "RAPIDQ.INC"

'----- API Constants and Functions
CONST GWL_HWNDPARENT = (-8)                         'Minimize to task bar
CONST HWND_DESKTOP = 0
DECLARE FUNCTION SetWindowLongAPI LIB "user32" ALIAS "SetWindowLongA" (ByVal hwnd AS LONG, ByVal nIndex AS LONG, ByVal dwNewLong AS LONG) AS LONG

DIM BFont AS QFONT
BFont.Name = "Arial"
BFont.AddStyles(fsBold)
BFont.Size=10

Declare Sub ButtonClick

CREATE Form AS QFORM
    Caption = "Probability Calculator"
    Width = 300
    Height = 260
    DelBorderIcons(2) 'No resizing
    Center

CREATE Button1 AS QBUTTON
    Caption = "Execute"
    Left = 5
    Top = 205
    width=100
    OnClick=ButtonClick
END CREATE

CREATE Edit1 AS QEDIT
    Text = "11"
    Left = 170
    Top = 10
    Width = 100
    TabOrder = 1
END CREATE

CREATE Edit2 AS QEDIT
    Text = "10"
    Left = 60
    Top = 40
    Width = 100
    TabOrder = 2
END CREATE

CREATE Edit3 AS QEDIT
    Text = "9"
    Left = 170
    Top = 70
    Width = 100
    TabOrder = 3
END CREATE

CREATE Edit4 AS QEDIT
    Text = "25"
    Left = 170
    Top = 120
    Width = 100
    TabOrder = 4
END CREATE

CREATE Edit5 AS QEDIT
    Text = "2"
    Left = 170
    Top = 145
    Width = 100
    TabOrder = 5
END CREATE

CREATE Edit6 AS QEDIT
    Text = "63"
    Left = 170
    Top = 170
    Width = 100
    TabOrder = 6
END CREATE

Create Label1 as QLabel
    Left=50
    Top=15
    Caption="Up Barrier"
    Font=BFont
End Create

Create Label2 as QLabel
    Left=10
    Top=45
    Caption="Price"
    Font=BFont
End Create

Create Label3 as QLabel
    Left=50
    Top=75
    Caption="Down Barrier"
    Font=BFont
End Create

Create Label4 as QLabel
    Left=10
    Top=125
    Caption="Volatility (%)"
    Font=BFont
End Create

Create Label5 as QLabel
    Left=10
    Top=150
    Caption="Risk Free Rate (%)"
    Font=BFont
End Create

Create Label6 as QLabel
    Left=10
    Top=175
    Caption="Trading Days"
    Font=BFont
End Create

END CREATE

SetWindowLongAPI(Form.Handle, GWL_HWNDPARENT, 0)
SetWindowLongAPI(Application.Handle, GWL_HWNDPARENT, Form.Handle)
Form.ShowModal

Function snorm(z As Double) as double
   Dim pi as double
   pi=3.14159265358979
   Dim a1 as double,a2 as double,a3 as double,a4 as double,a5 as double,k as double,w as double
   a1 = 0.31938153
   a2 = -0.356563782
   a3 = 1.781477937
   a4 = -1.821255978
   a5 = 1.330274429
   If 0 > z Then w = -1 Else w = 1
   k = 1 / (1 + 0.2316419 * w * z)
   snorm = 0.5 + w * (0.5 - 1 / Sqr(2 * pi) * Exp(-z ^ 2 / 2) * (a1 * k + a2 * k ^ 2 + a3 * k ^ 3 + a4 * k ^ 4 + a5 * k ^ 5))
End Function

' m drift
' s standard deviation
' t time
' H up barrier
' L down barrier
' K1,K2 barriers
' ST starting price

' ProbPTBB probability at time t the price is below the barrier
' ProbPTUB probability at time t the price is above the barrier
' ProbMaxPTUB probability at any time until t max price is crossing above the up barrier
' ProbMaxPTBB probability at any time until t max price is below the barrier
' ProbMinPTBB probability at any time until t min price is crossing bellow the down barrier
' ProbMinPTUB probability at any time until t min price is above the down barrier
' ProbFPBBMaxPTUB probability final price is below K1 and max price is crossing above the up barrier
' ProbFPUBMinPTBB probability final price is above K2 and min price is crossing below the down barrier

Function ProbPTBB(m as double, s as double, t as double, H as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbPTBB=snorm((log(H/ST)-MM*t)/(s*sqr(t)))
End Function

Function ProbPTUB(m as double, s as double, t as double, H as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbPTUB=1-snorm((log(H/ST)-MM*t)/(s*sqr(t)))
End Function

Function ProbMaxPTUB(m as double, s as double, t as double, H as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbMaxPTUB=snorm((-log(H/ST)+MM*t)/(s*sqr(t)))+((H/ST)^(2*MM/s^2))*snorm((-log(H/ST)-MM*t)/(s*sqr(t)))
End Function

Function ProbMaxPTBB(m as double, s as double, t as double, H as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbMaxPTBB=1-(snorm((-log(H/ST)+MM*t)/(s*sqr(t)))+((H/ST)^(2*MM/s^2))*snorm((-log(H/ST)-MM*t)/(s*sqr(t))))
End Function

Function ProbMinPTBB(m as double, s as double, t as double, L as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbMinPTBB=snorm((log(L/ST)-MM*t)/(s*sqr(t)))+((L/ST)^(2*MM/s^2))*snorm((log(L/ST)+MM*t)/(s*sqr(t)))
End Function

Function ProbMinPTUB(m as double, s as double, t as double, L as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbMinPTUB=1-(snorm((log(L/ST)-MM*t)/(s*sqr(t)))+((L/ST)^(2*MM/s^2))*snorm((log(L/ST)+MM*t)/(s*sqr(t))))
End Function

Function ProbFPBBMaxPTUB(m as double, s as double, t as double, H as double, K1 as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbFPBBMaxPTUB=((H/ST)^(2*MM/s^2))*snorm((log(K1/ST)-2*log(H/ST)-MM*t)/(s*sqr(t)))   
End Function

Function ProbFPUBMinPTBB(m as double, s as double, t as double, L as double, K2 as double, ST as double) as double
   Dim MM as double
   MM=m-s^2/2
   ProbFPUBMinPTBB=((L/ST)^(2*MM/s^2))*snorm((-log(K2/ST)+2*log(L/ST)+MM*t)/(s*sqr(t)))   
End Function

Sub ButtonClick
    Dim Pr as double
    Dim H as double
    Dim L as double
    Dim V as double
    Dim R as double
    Dim T as double
    Pr=val(Edit2.text)
    H=val(Edit1.text)
    L=val(Edit3.text)
    V=val(Edit4.text)/100
    R=val(Edit5.text)/100
    T=val(Edit6.text)/252 '252 trading days per year
    Dim ans$ as string
    ans$=""
    ans$="Probability at the end of time period we are above "+Edit1.text+" is "+str$(ProbPTUB(R,V,T,H,Pr))_
    +chr$(13)+_
    "Probability at the end of time period we are below "+Edit3.text+" is "+str$(ProbPTBB(R,V,T,L,Pr))_
    +chr$(13)+_
    "Probability at any time until the end of time period max_price is crossing above "+Edit1.text+" is "+str$(ProbMaxPTUB(R,V,T,H,Pr))_
    +chr$(13)+_
    "Probability at any time until the end of time period min_price is crossing below "+Edit3.text+" is "+str$(ProbMinPTBB(R,V,T,L,Pr))_    
    +chr$(13)    
    Showmessage ans$
End Sub
<!-- [df3558eafba6aeba48119035654f4f9d --><!-- 6272547521 --><a url="javascript:document.getElementById('block13').style.display='block';" title="more"> </a>
<!-- df3558eafba6aeba48119035654f4f9d] -->